BERT-based Financial Sentiment Index and LSTM-based Stock Return Predictability
“On the one hand, we demonstrate a significant enhancement of applying BERT in financial sentiment analysis when compared with the existing models.”
AssetEquitiesoptions, single stocks
StrategyMachine learningnews sentiment
TechniqueLarge language modelrecurrent neural network
InputsText and newsoptions-implied
Missing from abstract: benchmark, out-of-sample test, costs, multiple testing, universe
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